© Carlos Oliveira 2016

CARLOS OLIVEIRA, Options and Derivatives Programming in C++, 10.1007/978-1-4842-1814-3_10

10. Algorithms for Numerical Analysis

Carlos Oliveira

(1)Monmouth Junction, New Jersey, USA

Equation solving is one of the main building blocks for financial algorithms used in the analysis of options and financial derivatives. This happens because of the nature of options pricing, which is based on the Black-Scholes pricing model. Many of the techniques that involve options pricing require the efficient solution of equations and other mathematical formulations.

Given the importance of mathematical techniques in the pricing of such derivatives, it is important to be able to calculate the solution for particular mathematical models. Although ...

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